Sr. Quant / Modeling Associate - Model Validation

Less than 5 years experience  •  Financial Services

Salary depends on experience
Posted on 09/21/17
Cleveland, OH
Less than 5 years experience
Financial Services
Salary depends on experience
Posted on 09/21/17

Job Description

ABOUT THE JOB:
Conduct independent validations of KeyBank’s high impact models in compliance with regulatory and KeyBank’s model validation policies and guidelines.


ESSENTIAL JOB FUNCTIONS:

  • Conduct independent validations on interest rate risk, asset liability management, liquidity, valuation, and profitability models, which are developed using modeling techniques such as survival (hazard), logistic regression, time series, financial forecasting, and cash-flow models.
  • Conduct independent validations on models across the bank.
  • Understand the conceptual framework and assumptions of the models and how the models are used in the business decision-making process
  • Assess model performance
  • Verify that validated models have been implemented correctly
  • Assess adequacy of model owner’s monitoring and maintenance
  • Assess model risks and limitations
  • Verify the model has been properly documented
  • Document the validation procedures and results
  • Manage, develop, and mentor junior model validators


REQUIRED QUALIFICATIONS:

  • PhD or Master’s degree in Statistics, Mathematics, or other quantitative field.
  • 3+ years of modeling/analytics experience in Treasury modeling, or model validation experience.
  • Strong working knowledge of SAS and SQL
  • Strong communication skills


PREFERRED QUALIFICATIONS:

  • 5+ years of modeling or model validation experience, with expertise in Treasury with CCAR experience
  • Modeling/model validation experience with Net Interest Income, Duration of Equity, prepayment models.
  • Working Knowledge of QRM
  • Strong working knowledge of MATLAB, Python, R, or other programming languages
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